San Diego City Employees' Retirement System's board terminated Grantham, Mayo, Van Otterloo & Co.'s $212 million global value-oriented equity mandate and redeemed its $73 million investment in open-end real estate fund MetLife Core Property Fund, managed by MetLife Investment Management.
The board of the $10.2 billion pension fund on Jan. 12 decided to terminate the GMO Global Equity Allocation Fund for underperformance. It reallocated its $787 million global equity portfolio among its remaining three equity managers. SDCERS now is investing 40% of the global equity portfolio in Arrowstreet Global Equity ACWI fund, up from 23%; 30% in Dodge & Cox Global Stock Fund, up from 20%; and 30% in Walter Scott Global Equity fund, down from 32%.
GMO executives declined to comment.
The board also decided to redeem its entire investment from MetLife Core Property Fund to bring its real estate portfolio closer to its 11% target allocation. Without MetLife, the portfolio would have an 11.4% actual allocation from its current actual allocation of 12.1%.
Separately, SDCERS at 13.8% is also currently above its 10% private equity target allocation. In response, SDCERS executives are working with the pension fund's private equity consultant, GCM Grosvenor, to cut back on its commitment pace for this year, CIO Carina Coleman said at the board meeting.
